Ilze Kalnina

Works (6)

Updated: December 6th, 2024 09:55

2022 article

Inference for Nonparametric High-Frequency Estimators with an Application to Time Variation in Betas

Kalnina, I. (2022, March 29). JOURNAL OF BUSINESS & ECONOMIC STATISTICS, Vol. 41.

By: I. Kalnina n 

author keywords: Market microstructure noise; Realized volatility; Subsampling
TL;DR: The subsampling method is used to study the dynamics of financial betas of six stocks on the NYSE, and it is found that tick data captures more variation in betas than the data sampled at moderate frequencies such as every five or twenty minutes. (via Semantic Scholar)
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Sources: Web Of Science, ORCID, NC State University Libraries
Added: April 18, 2022

2020 journal article

High-frequency factor models and regressions

Journal of Econometrics, 216(1), 86–105.

By: Y. Aït-Sahalia*, I. Kalnina n  & D. Xiu *

Contributors: Y. Aït-Sahalia*, I. Kalnina n  & D. Xiu *

Source: ORCID
Added: November 23, 2024

2019 article

High-Frequency Factor Models and Regressions

SSRN.

By: Y. Ait-Sahalia*, I. Kalnina n  & D. Xiu *

Contributors: Y. Ait-Sahalia*, I. Kalnina n  & D. Xiu *

Source: ORCID
Added: November 23, 2024

2016 journal article

Nonparametric Estimation of the Leverage Effect: A Trade-Off Between Robustness and Efficiency

Journal of the American Statistical Association, 112(517), 384–396.

By: I. Kalnina*  & D. Xiu *

author keywords: Derivatives; High-frequency data; Implied volatility; Spot correlation; VIX
Sources: Crossref, ORCID, NC State University Libraries
Added: August 28, 2020

2010 journal article

Subsampling high frequency data

Journal of Econometrics, 161(2), 262–283.

By: I. Kalnina* 

author keywords: Subsampling; Market microstructure noise; High frequency data; Realised volatility
Sources: Crossref, ORCID, NC State University Libraries
Added: October 25, 2020

2008 journal article

Estimating quadratic variation consistently in the presence of endogenous and diurnal measurement error

Journal of Econometrics, 147(1), 47–59.

By: I. Kalnina*  & O. Linton*

author keywords: Endogenous noise; Market microstucture; Realised volatility; Semimartingale
Sources: Crossref, ORCID, NC State University Libraries
Added: August 28, 2020

Employment

Updated: June 11th, 2023 16:30

2017 - present

North Carolina State University Raleigh, North Carolina, US
Assistant Professor Economics

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